Execution Quality Metrics

Any broker can claim "fast execution" or "tight spreads." Metrics make these claims testable. When a broker publishes its median fill time as 12ms, average slippage distribution showing 52% positive / 48% negative, and a 99.7% fill rate — these are specific, verifiable assertions. Metrics create accountability: if published numbers deteriorate, it's visible to everyone. This is why transparent NDD brokers embrace metrics while opaque brokers avoid them.

Latency measures the time between order submission and execution. It's broken into components: network latency (client to server), processing latency (server-side order handling), and LP latency (communication with the liquidity provider). Time-to-fill is the end-to-end metric clients actually experience. Good NDD brokers report latency as percentiles (P50, P95, P99) rather than just averages, because outliers matter more than means.

Fill ratio (percentage of orders fully filled), rejection rate (orders declined by LPs), and partial fill rate (orders only partially executed) collectively describe how reliably a broker converts orders into positions. A fill ratio above 99% with a rejection rate below 1% indicates excellent LP relationships and sufficient depth. These metrics should be reported per instrument, as FX majors and exotics have very different profiles.

Slippage distribution (percentage positive vs. negative, average magnitude), spread analysis (average, median, P95), and VWAP comparison (how fills compare to the volume-weighted average price) measure the price quality of execution. The most telling metric is slippage symmetry: in fair execution, positive and negative slippage should be roughly equal. Price improvement rate — how often orders fill better than the quoted price — is another powerful indicator.

TCA is the institutional gold standard for execution evaluation. It decomposes total trading cost into explicit costs (commission, fees) and implicit costs (spread, slippage, market impact). By benchmarking against VWAP, arrival price, and other references, TCA reveals whether execution quality is good, average, or poor relative to the available market. Brokers that support or provide TCA tools signal institutional-grade confidence in their execution.